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Publications in Scientific Journals:

C. Keppel, K. Prettner:
"How interdependent are Eastern European economies and the Euro area?";
The Quarterly Review of Economics and Finance, 58 (2015), -; 18 - 31.



English abstract:
This article investigates the interrelations between the Euro area and five Central and Eastern European economies. Using an open economy framework, we derive theoretical restrictions to be imposed on the cointegration space of a structural vector error correction model. We employ generalized impulse response analysis to assess the effects of shocks to output, interest rates, the exchange rate, and relative prices on both areas. The results show strong inter-regional spillovers of output shocks with the magnitude being similarly strong in both areas. Furthermore, we find multiplier effects in Central and Eastern Europe and some evidence for the European Central Bank's desire for price stability.

Keywords:
European economic integration/Structural vector error correction model/Generalized impulse response analysis/Inter-regional transmission of shocks


"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.qref.2015.02.012


Created from the Publication Database of the Vienna University of Technology.